The influence of intraday seasonality on volatility transmission pattern (Q5234350)
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scientific article; zbMATH DE number 7110472
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The influence of intraday seasonality on volatility transmission pattern |
scientific article; zbMATH DE number 7110472 |
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The influence of intraday seasonality on volatility transmission pattern (English)
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26 September 2019
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high-frequency data
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intraday periodic component
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Fourier flexible form
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realized volatility
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volatility spillover
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microstructure noise
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